← All authors Rustam Ibragimov Imperial College London (from arXiv:2105.05335, 2021) · ORCID · OpenAlex
52 papers in scope · 51 published · 3 on the econ.EM arXiv · 2,354 citations · h-index 21 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ji-Hyun Kim Anton Skrobotov Rasmus Hundsbæk Pedersen Tianyu He Eiji Kurozumi Jean-Marie Dufour Alessandro Casini Pierre Perrón Taosong Deng Ting Zhang Xuanling Yang Paul Kattuman Lorenzo Trapani Lajos Horváth Shixuan Wang Dong Li Fabrizio Ghezzi Eduardo Rossi Jun Yu Leopoldo Catania Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 52)
Stylized facts of cryptocurrency markets: Robust definitions and inference approaches
published 2026 · Emerging Markets Review · 2 citations
with Nursultan Abdullaev
The changing landscape of cyber risk: An empirical analysis of loss severity and tail dynamics
published 2025 · Insurance Mathematics and Economics · 1 citations · first circulated 2024
with Martin Eling, Dingchen Ning
working paper 2025 · arXiv
published 2025 · Econometric Reviews · 3 citations · first circulated 2021
published 2023 · Journal of Financial Econometrics · 3 citations · first circulated 2020
published 2023 · Econometric Theory · 2 citations · first circulated 2020
published 2022 · PLoS ONE · 1 citations
Predictability of cryptocurrency returns: evidence from robust tests
published 2022 · Dependence Modeling · 3 citations
with Siyun He
Equity returns and sentiment
published 2022 · Dependence Modeling · 2 citations
with Zibin Huang
Sign tests for dependent observations
published 2018 · Econometrics and Statistics · 3 citations · first circulated 2005
with Donald J. Brown, Johan Waldén, Anat Bracha, Jeremy R. Gray, Boaz Nadler, Dmitry Shapiro, Glena Ames
One country, two systems? The heavy-tailedness of Chinese A-and H-share markets
published 2018 · Emerging Markets Review · 11 citations
with Zhimin Chen
The “Cubic Law of the Stock Returns” in emerging markets
published 2017 · Journal of Empirical Finance · 20 citations
with Zhiye Gu
Heavy tails and asymmetry of returns in the Russian stock market
published 2017 · Emerging Markets Review · 16 citations
with Andrei B. Ankudinov, Lebedev Ov
Heavy tails and upper-tail inequality: The case of Russia
published 2017 · Empirical Economics · 21 citations
with Marat Ibragimov
Sanctions and the Russian stock market
published 2017 · Research in International Business and Finance · 50 citations
with Andrei B. Ankudinov, Lebedev Ov
Copulas and long memory
published 2017 · Probability Surveys · 23 citations · first circulated 2008
with George Lentzas
Extreme movements of the Russian stock market and their consequences for management and economic modeling
published 2017 · Applied Econometrics · 1 citations
with Andrei B. Ankudinov, Lebedev Ov
no link
Unemployment and output dynamics in CIS countries: Okun’s law revisited
published 2016 · Applied Economics · 31 citations
with Marat Ibragimov
Equilibrium with Monoline and Multiline Structures
published 2016 · European Finance Review · 2 citations
with Dwight M. Jaffee, Johan Waldén
Heavy tails and copulas: Limits of diversification revisited
published 2016 · Economics Letters · 19 citations · first circulated 2015
Inference with Few Heterogeneous Clusters
published 2015 · The Review of Economics and Statistics · 101 citations
About the Progressive Tax System of Labor Remuneration in Russia
published 2014 · Asian Social Science · 2 citations
with Marat Ibragimov, Yuliya M. Sinnikova, Aidar Tufetulov
On the robustness of location estimators in models of firm growth under heavy-tailedness
published 2014 · Journal of Econometrics · 3 citations
Emerging markets and heavy tails
published 2013 · Journal of Banking & Finance · 57 citations
Optimal Bundling Strategies Under Heavy-Tailed Valuations
published 2010 · Management Science · 55 citations
with Johan Waldén
Diversification disasters
published 2010 · Journal of Financial Economics · 257 citations
with Dwight M. Jaffee, Johan Waldén
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
published 2010 · Annals of Finance · 16 citations · first circulated 2007
with Johan Waldén
Pricing and Capital Allocation for Multiline Insurance Firms
published 2010 · Journal of Risk & Insurance · 43 citations
with Dwight M. Jaffee, Johan Waldén
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents
published 2009 · Journal of Business and Economic Statistics · 502 citations · first circulated 2006
with Xavier Gabaix
t -Statistic Based Correlation and Heterogeneity Robust Inference
published 2009 · Journal of Business and Economic Statistics · 283 citations · first circulated 2007
COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
published 2009 · Econometric Theory · 104 citations
Portfolio diversification and value at risk under thick-tailedness
published 2009 · Quantitative Finance · 23 citations
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
published 2008 · Econometric Theory · 19 citations
Heavy-tailedness and threshold sex determination
published 2008 · Statistics & Probability Letters · 3 citations
Nondiversification Traps in Catastrophe Insurance Markets
published 2008 · Review of Financial Studies · 175 citations
with Dwight M. Jaffee, Johan Waldén
A tale of two tails: peakedness properties in inheritance models of evolutionary theory
published 2007 · Journal of Evolutionary Economics · 3 citations · first circulated 2005
Portfolio diversification under local and moderate deviations from power laws
published 2007 · Insurance Mathematics and Economics · 15 citations · first circulated 2006
with Johan Waldén
Optimal constants in the Rosenthal inequality for random variables with zero odd moments
published 2007 · Statistics & Probability Letters · 9 citations
with Marat Ibragimov
EFFICIENCY OF LINEAR ESTIMATORS UNDER HEAVY-TAILEDNESS: CONVOLUTIONS OF [alpha]-SYMMETRIC DISTRIBUTIONS
published 2007 · Econometric Theory · 32 citations · first circulated 2005
Thou Shalt not Diversify: Why ‘Two Of Every Sort’?
published 2007 · Journal of Applied Probability · 2 citations · first circulated 2006
The limits of diversification when losses may be large
published 2007 · Journal of Banking & Finance · 175 citations · first circulated 2006
with Johan Waldén
Market Demand Elasticity and Income Inequality
published 2006 · Economic Theory · 15 citations
with Marat Ibragimov
New majorization theory in economics and martingale convergence results in econometrics
published 2005 · Medical Entomology and Zoology · 37 citations
no link
Option bounds
published 2004 · Journal of Applied Probability · 17 citations
with Víctor Peña, Steve Jordan
Option bounds
published 2004 · Journal of Applied Probability · 4 citations
with Víctor Peña, Steve Jordan
On sharp Burkholder?Rosenthal-type inequalities for infinite-degree -statistics
published 2002 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 7 citations
with V Delapena, Шатургун Шарахметов
A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications
published 2002 · Journal of Multivariate Analysis · 29 citations
with Sh. Sharakhmetov
The Exact Constant in the Rosenthal Inequality for Random Variables with Mean Zero
published 2002 · Theory of Probability and Its Applications · 61 citations
with Sh. Sharakhmetov, Шатургун Шарахметов
The best constant in the Rosenthal inequality for nonnegative random variables
published 2001 · Statistics & Probability Letters · 21 citations
with Sh. Sharakhmetov
Exact Estimates for Moments of Random Bilinear Forms
published 2001 · Journal of Theoretical Probability · 7 citations · first circulated 1999
with Sh. Sharakhmetov, A Aydin Cecen
Analogues of Khintchine, Marcinkiewicz–Zygmund and Rosenthal Inequalities for Symmetric Statistics
published 1999 · Scandinavian Journal of Statistics · 20 citations
with Sh. Sharakhmetov
Short Communications: On an Exact Constant for the Rosenthal Inequality
published 1998 · Theory of Probability and Its Applications · 43 citations
with Sh. Sharakhmetov
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).